Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Advanced Financial Mathematics question need help pls Let : [0,00) [0, 1] be a generator of a d-dimensional Archimedean copula C. a) Show that limo
Advanced Financial Mathematics question need help pls
Let : [0,00) [0, 1] be a generator of a d-dimensional Archimedean copula C. a) Show that limo (t) = 0 must hold. b) Show that (0) = 1 must hold. c) Show that (ct), t 0, generates C for all c> 0. d) Show that the lower tail dependence coefficient of the bivariate copula satisfies X = lim,(t) (21) Let : [0,00) [0, 1] be a generator of a d-dimensional Archimedean copula C. a) Show that limo (t) = 0 must hold. b) Show that (0) = 1 must hold. c) Show that (ct), t 0, generates C for all c> 0. d) Show that the lower tail dependence coefficient of the bivariate copula satisfies X = lim,(t) (21)
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started